2381/7611Stephen G. HallSahar S. QaqeeshThe behaviour of Dickey Fuller test in the case of noisy data: To what extent we can trust the outcome2010University of LeicesterHypothesis testingUnit root testMonte Carlo Analysis2010-03-02 16:00:49articlehttps://leicester.figshare.com/articles/The_behaviour_of_Dickey_Fuller_test_in_the_case_of_noisy_data_To_what_extent_we_can_trust_the_outcome/10092071We examine the behaviour of Dickey Fuller test (DF) in the case of noisy data using Monte Carlo simulation. The findings show clearly that the size distortion of DF test becomes larger as the noise increases in the data.